At least in Russia so says the NY Times. They have experienced blue, orange, black and yellow snow. But the article fails to say whether the snow is colored as it is falling or it becomes colored when on the ground.
There is an explanation for all of the colors. A food manufacturer said that the blue snow was the result of powdered dye leaking into the ventilation system which caused it to escape into the air. The orange and yellow snow is caused by the winds carrying sand from the Mediterranean area. The black snow was caused by pollution from a local power plant.